BofAML: Hedge Funds Up 0.19%

Aug 28 2012 | 8:06am ET

Hedge funds were up 0.19% month to date as of August 22, according to the Bank of America Merrill Lynch investable hedge fund composite index.

Hedge funds trailed the S&P 500, which was up 2.48% during the monitored period.

Equity long/short funds were the best performers, adding 0.8% as of August 22, followed by event-driven funds, up 0.68%. CTAs turned in the worst performance, losing 1.17%.

Market neutral funds sold market exposure to 0.4% from 2% net long, reports BofAML analyst Mary Ann Bartels, while equity long/short funds sold market exposure to 24% from 28% net long. Macro funds added to their shorts in the S&P 500 and NASDAQ, partially covered the 10-year Treasury, bought U.S. dollars, increased EM and EAFE exposure and sold commodities to a slight short. Macros tilted further toward large-cap stocks last week.

A look at Commodity Futures Trading Commission data shows that large agriculture speculators bought soybeans, corn and wheat while metal speculators bought everything—gold, silver, copper, platinum and palladium.

Energy speculators bought crude and heating oil, partially covered natural gas and held gasoline steady. Forex specs partially covered the euro and sold U.S. dollars and yen. Interest rate speculators sold 30-year Treasuries while buying 10- and 2-years.


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